Jay is able to distract the Bug by throwing things at him, jumping on him, and stepping on cockroaches
From the wiki page: Edgar the Bug.
Near the end of the 1997 movie Men in Black, the villain known as Edgar nearly made his escape ignoring Agent Jay's attempts to distract him. The only thing that got Edgar's attention was Jay stomping on a cockroach and almost supernaturally (or comically) Edgar took notice, jumped down to confront Jay and bought time for Agent Kay to find his gun inside the creature after being swallowed.
This is not also the only time in the film Edgar has shown offense to this. He also seems to care about other of Earth's insects. There was that part with a bug exterminator and that clerk who was swatting flies.
Why does Edgar care? He is not exactly of the same species or even from the same planet.